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Secant Method
Secant Method
In numerical analysis, the secant method is a root-finding algorithm that uses a succession of roots of secant lines to better approximate a root of a function f. The secant method can be thought of as a finite difference approximation of Newton's method. However, the method was developed independently of Newton's method, and predated the latter by over 3,000 years.[1]
Contents
[hide]
1 The method 2 Derivation of the method 3 Convergence 4 Comparison with other root-finding methods 5 Generalizations 6 A computational example 7 Notes 8 See also 9 References 10 External links
[edit]The
method
The first two iterations of the secant method. The red curve shows the function f and the blue lines are the secants. For this particular case, the secant method will not converge.
As can be seen from the recurrence relation, the secant method requires two initial values, x0 and x1, which should ideally be chosen to lie close to the root.
[edit]Derivation
of the method
and and , we construct a line through the , as demonstrated in the picture on the right. In point-
such that
The solution is
as
and
instead
...
[edit]Convergence
The iterates of the secant method converge to a root of , if the initial values and are sufficiently close to the root. The order of convergence is , where
is the golden ratio. In particular, the convergence is superlinear, but not quite quadratic. This result only holds under some technical conditions, namely that be twice continuously differentiable and the root in question be simple (i.e., with multiplicity 1). If the initial values are not close enough to the root, then there is no guarantee that the secant method converges. There is no general definition of "close enough", but the criterion has to do with how "wiggly" the function is on the interval example, if is differentiable on that interval and there is a point where interval, then the algorithm may not converge. [edit]Comparison . For on the
The secant method does not require that the root remain bracketed like the bisection method does, and hence it does not always converge. The false position method (or regula falsi) uses the same formula as the secant method. However, it does not apply the formula on and , like the secant method, but on and on the last iterate such that and have a different sign. This means that the false position method always converges. The recurrence formula of the secant method can be derived from the formula for Newton's method
. If we compare Newton's method with the secant method, we see that Newton's method converges faster (order 2 against 1.6). However, Newton's method requires the evaluation of both and its derivative at every step, while the
secant method only requires the evaluation of . Therefore, the secant method may occasionally be faster in practice. For instance, if we assume that evaluating takes as much time as evaluating its derivative and we neglect all other costs, we can do two steps of the secant method (decreasing the logarithm of the error by a factor 2.6) for the same cost as one step of Newton's method (decreasing the logarithm of the error by a factor 2), so the secant method is faster. If however we consider parallel processing for the
evaluation of the derivative, Newton's method proves its worth, being faster in time, though still spending more steps.